Τεκμαρτή αξία σε κίνδυνο (VaR) και υπό όρους αξία σε κίνδυνο (CVaR)
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Keywords
Δικαιώματα προαίρεσης ; CVaR ; Value – at – Risk (VaR) ; Διαχείριση κινδύνου ; Μέτρηση κίνδυνου ; Τεκμαρτή μεταβλητότητα ; Αναλογία κινδύνου ; Risk management ; Implied volatility ; Risk ratio ; Risk measurementAbstract
Options, Value at Risk (VaR) and Conditional Value at Risk (CVaR) are significant areas of research in their own right, since all three are important to risk management and understanding of risk. Despite the importance and the overlap of interests in CVaR and options, the literature relating the two is virtually non-existent. In this paper, we derive a model-free, simple and closed-form analytic equation that determines the association of CVaR with put options. This relation is applicable in complete and incomplete markets, showing that we can account for implied volatility effects using the CVaR risk of options. We show also how the relation between options and CVaR has important risk management implications, particularly in terms of integrated risk management and preventing arbitrage opportunities. We conduct numerical experiments to demonstrate obtaining CVaR from empirical options data.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
71Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές